افق سرمایه‌گذاری بهینه در شاخص کل( تپیکس) و مقایسه آن با شاخص‌های صنایع خودرو، قند و شکر، دارویی، مالی و بانک‌ها در بورس اوراق بهادار تهران

نویسندگان
عزت اله عباسیان
ابراهیم نصیرالاسلامی
احسان صنیعی
دانشگاه بوعلی سینا
10.29252/jemr.9.33.221
چکیده
در تجزیه و تحلیل بازار سهام و شاخص‌های این بازار می‌توان به جای تخمین بازدهی‌ها و توزیع آنها در یک فاصله زمانی معین، به استخراج زمان بهینه برای دستیابی به بازدهی معین پرداخت. در این مطالعه توزیع افق سرمایه گذاری و افق سرمایه‌گذاری بهینه از طریق روش آماره گامای معکوس برای تپیکس و شاخص‌های صنایع خودرو، قند و شکر، دارویی، مالی و بانک‌ها در بورس اوراق بهادار تهران استخراج، تحلیل و مقایسه شده است. یافته های تحقیق نشان دهنده آن است که در سطوح دسترسی به بازدهی مثبت، به ترتیب شاخص‌های صنایع خودرو، قند و شکر، بانکی و مالی دارای افق زمانی کوتاه تر نسبت به شاخص کل هستند و این در حالی است که از منظر دسترسی به بازدهی منفی نیز تنها شاخص گروه داروئی دارای افق زمانی طولانی تر نسبت به شاخص کل می‌باشد.
کلیدواژه‌ها
افق سرمایه‌گذاری
توزیع افق سرمایه‌گذاری
بازدهی
ریسک
آماره معکوس

عنوان مقاله English

Optimal Investment Horizon Tehran Price Index (Tepix) and Its Comparison with Indices of Automotive, Sugar, Pharmaceutical, Financial and Banking Industries

نویسندگان English

Ezatollah Abbasian
Ebrahim nasiroleslami
Ehsan saniee
Bu Ali sina Universiy
چکیده English

In the analysis of the stock market and its market indices, instead of estimating returns and their distributions at a given time interval, it is possible to extract optimal time to achieve a certain return. In this study, the distribution of investment horizons and optimal investment horizons through inverse gamma statistics method for the indices of automobile, sugar, pharmaceutical, financial and banks industries in Tehran Stock Exchange were extracted, analyzed and compared. The results of the research show that at the levels of access to +5 percent return, automotive, sugar , banking and financial indices have shorter horizons than the total index, while in terms of access to negative returns ,the only indicator of the drug group has a longer horizon than the total index.

کلیدواژه‌ها English

Investment Horizon
Investment Horizon Distribution
Inverse Gamma Statistics
Return
Risk
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